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A class of indirect utility functions predicting Giffen behaviour

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Currency crises prediction and contagion effects measurement using a nested logit model

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Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?

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Global systemic risk measures and their forecasting power for systemic events

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Can Bank-Specific Variables Predict Contagion Effects?

Siebenbrunner, Christoph - 2018

Assessing the systemic risk a bank poses to the system has become a central part in regulating its capital requirements … need to be quantified. Currently global regulators propose a range of bank-specific indicators that measure size and … bank-specific indicators. We also find, however, that the proposed data sets without bank dummies do not perform well in …

Persistent link: https://www.econbiz.de/10012936501